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Leveraged Portfolio

Last updated Dec 2, 2023

Asset Allocation


TMF 45%SPXL 40%ERX 5%NUGT 5%GUSH 5%BondBondEquityEquity
PositionCategory/SectorWeight
TMF
Direxion Daily 20-Year Treasury Bull 3X
Leveraged Bonds, Leveraged45%
SPXL
Direxion Daily S&P 500 Bull 3X Shares
Leveraged Equities, Leveraged40%
ERX
Direxion Daily Energy Bull 2X Shares
Leveraged Equities, Leveraged5%
NUGT
Direxion Daily Gold Miners Bull 2X Shares
Leveraged Equities, Leveraged5%
GUSH
Direxion Daily S&P Oil & Gas Exploration & Production Bull 2x Shares
Leveraged Equities, Leveraged5%

Performance

The chart shows the growth of an initial investment of $10,000 in Leveraged Portfolio, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly


60.00%80.00%100.00%120.00%JulyAugustSeptemberOctoberNovemberDecember
99.62%
118.02%
Leveraged Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 29, 2015, corresponding to the inception date of GUSH

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
N/AN/AN/AN/AN/AN/A
Leveraged Portfolio7.52%17.34%-3.86%-10.87%9.27%N/A
SPXL
Direxion Daily S&P 500 Bull 3X Shares
52.61%26.34%16.19%25.71%16.71%21.43%
TMF
Direxion Daily 20-Year Treasury Bull 3X
-27.40%28.67%-28.90%-40.08%-18.85%-6.39%
ERX
Direxion Daily Energy Bull 2X Shares
-10.76%-0.86%10.96%-16.47%-22.62%-22.41%
NUGT
Direxion Daily Gold Miners Bull 2X Shares
5.89%25.75%-5.10%-1.47%-11.03%-28.20%
GUSH
Direxion Daily S&P Oil & Gas Exploration & Production Bull 2x Shares
1.05%-8.86%24.77%-16.60%-52.28%N/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2023-7.20%9.17%1.90%-7.29%-15.83%-11.52%24.93%

Sharpe Ratio

The current Leveraged Portfolio Sharpe ratio is -0.20. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

-1.000.001.002.003.00-0.20

The Sharpe ratio of Leveraged Portfolio is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-0.500.000.501.00JulyAugustSeptemberOctoberNovemberDecember
-0.20
0.91
Leveraged Portfolio
Benchmark (^GSPC)
Portfolio components

Dividend yield

Leveraged Portfolio granted a 2.41% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Leveraged Portfolio2.41%1.10%0.21%2.13%1.21%1.29%1.78%0.65%0.00%0.00%0.26%0.08%
SPXL
Direxion Daily S&P 500 Bull 3X Shares
0.89%0.32%0.11%0.22%0.84%1.02%3.88%0.00%0.00%0.00%0.00%0.00%
TMF
Direxion Daily 20-Year Treasury Bull 3X
3.31%1.62%0.13%4.19%0.94%1.49%0.41%0.00%0.00%0.00%0.57%0.17%
ERX
Direxion Daily Energy Bull 2X Shares
3.02%2.23%2.16%2.35%1.56%3.10%0.85%0.00%0.00%0.00%0.00%0.00%
NUGT
Direxion Daily Gold Miners Bull 2X Shares
1.35%0.70%0.00%0.00%0.63%0.57%0.00%0.00%0.00%0.00%0.00%0.00%
GUSH
Direxion Daily S&P Oil & Gas Exploration & Production Bull 2x Shares
6.84%1.89%0.00%0.72%6.71%0.67%0.00%13.05%0.00%0.00%0.00%0.00%

Expense Ratio

The Leveraged Portfolio has a high expense ratio of 1.07%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


1.23%
0.00%2.15%
1.17%
0.00%2.15%
1.09%
0.00%2.15%
1.02%
0.00%2.15%

Risk-Adjusted Performance

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
SPXL
Direxion Daily S&P 500 Bull 3X Shares
0.62
TMF
Direxion Daily 20-Year Treasury Bull 3X
-0.62
ERX
Direxion Daily Energy Bull 2X Shares
-0.36
NUGT
Direxion Daily Gold Miners Bull 2X Shares
0.08
GUSH
Direxion Daily S&P Oil & Gas Exploration & Production Bull 2x Shares
-0.33

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

NUGTTMFSPXLGUSHERX
NUGT1.000.230.140.150.16
TMF0.231.00-0.20-0.28-0.30
SPXL0.14-0.201.000.500.55
GUSH0.15-0.280.501.000.91
ERX0.16-0.300.550.911.00

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-52.32%
-4.21%
Leveraged Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Leveraged Portfolio. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Leveraged Portfolio was 63.33%, occurring on Oct 27, 2023. The portfolio has not yet recovered.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-63.33%Nov 10, 2021494Oct 27, 2023
-45.54%Mar 9, 20208Mar 18, 202029Apr 29, 202037
-27.18%Jan 29, 2018229Dec 24, 2018112Jun 6, 2019341
-24.57%Jun 1, 2015161Jan 19, 201655Apr 7, 2016216
-22.16%Aug 19, 201661Nov 14, 2016202Sep 5, 2017263

Volatility Chart

The current Leveraged Portfolio volatility is 9.97%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
9.97%
2.79%
Leveraged Portfolio
Benchmark (^GSPC)
Portfolio components
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